A financial institution has the following portfolio of over-the-counter options on Canadian dollar.

A traded option is available with a delta of 0.6, a gamma of 1.6, and a vega of 0.75.

Question What position in the traded option and in Canadian dollar would make the portfolio both vega neutral and delta neutral?

Type Position of Call Call Put Call -1,100 -550 -2,100 -550 Delta Option 0.55 0.82 -0.43 0.71 of Gamma of Vega Option Option 2.3 1.7 0.7 0.2 1.2 0.8 1.7 1.5